I've already mentioned that the tests in this class were unusual; the way I studied for them was a bit odd as well and though it wasn't a method that I'd recommend for wide usage, in this context it worked well.
I was, in my younger days, something of a procrastinator (a trait I've outgrown, of course, -- ask anybody). Papers were generally started at the last minute but I did, at least, make an effort to keep up with my reading (I was earning a BFA in creative writing so writing and keeping up with my reading was pretty much all that was asked of me).
Shakespeare was the exception with reading assignments being pushed back to marathon sessions the weekends before the tests. I wasn't that I didn't enjoy the material -- I did -- but the plays required a commitment and a focus that made them easy to put off.
I would therefore find myself with three or four plays that I had to know in considerable detail forty-eight hours after I cracked open my copy of the Riverside Shakespeare (which I still have, by the way). It's difficult to imagine a worse approach to studying but in this case it worked out surprisingly well.
I would spend the first couple of hours cursing myself for being an irresponsible moron and calculating how much sleep I'd be able to get if I continued reading at that glacial pace. After that, though, something changed: the rate at which I was reading increased; it became easier to focus; the characters became more vivid and the stories more coherent.
It wasn't until after the second test that I realized what was going on. Shakespeare is one of the most and least accessible writers most of us will ever read. He wrote in language that hasn't been used for centuries but if you can get past those centuries of linguistic drift, you find someone who could hold the interest of intellectuals like Ben Jonson while keeping what we would now call the cheap seats cheering and stomping instead of throwing rotten eggs.
If I would have shown some discipline and diligently put aside an hour a night to study for that course I would have devoted more time to it but I strongly suspect I would have done worse and gotten less out of it. I doubt that an hour, even an hour every night would have been enough time to acclimate myself to the language; I would have spent my time translating instead of reading. It took two or three hours to forget the plays weren't in the everyday vernacular.
It's important to note that waiting till the weekend before a test then doing a marathon study session would have been, in almost every other context, a horrible idea. Even in cases where language is a barrier (which includes math), you'd generally be better off working your way through in bite-sized chunks, but the plays were written to be experienced in a single sitting (or standing) and that's probably still how they work best.
So my experiences in that one class shouldn't suggest a general approach to studying but it is another reminder of the often made point that the "best" pedagogical methods are context sensitive, varying from student to student, teacher to teacher and subject to subject to subject. Beware of blanket solutions.